Illustrating Cervantes’s book, on the easel and at the loom—now on view at the Frick Collection.

Miguel de Cervantes’s “Don Quixote” has lasted four centuries with all its appeal intact, while inspiring dramatists, composers and eventually filmmakers. Goya, Picasso and Dalí were among the Spanish painters famously drawn to Don Quixote, as was France’s Honoré Daumier. But for generations Gustave...